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Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios

  • We present some new general results on the existence and form of value preserving portfolio strategies in a general semimartingale setting. The concept of value preservation will be derived via a mean-variance argument. It will also be embedded into a framework for local approaches to the problem of portfolio optimisation.

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Author:Ralf Korn
URN (permanent link):urn:nbn:de:hbz:386-kluedo-10592
Serie (Series number):Report in Wirtschaftsmathematik (WIMA Report) (54)
Document Type:Preprint
Language of publication:English
Year of Completion:1999
Year of Publication:1999
Publishing Institute:Technische Universität Kaiserslautern
Date of the Publication (Server):2000/08/28
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:5 Naturwissenschaften und Mathematik / 510 Mathematik
Licence (German):Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011